Now obviously I know what the error message means. But it suggests
that I am overlooking something such as a parameter or that the doc is
wrong. Further down in the documentation there is a description of
this dataset

Simulated Mean-Cov Data Set:
This data is taken from chapter 1.3.2 in Scherer, M., Martin, R.D.
(2005); Introduction To Modern Portfolio Optimization with NuOPT,
S-PLUS and S+Bayes, Springer, Berlin. It is a list of covariance
matrix and the return means of imaginary assets. It is an example set
for learning about optimization.

which suggests to mean that I am missing something.

Can anyone tell me
a) can I run the Rmetrics codes above using mu and Sigma and if so
what parameters do I need to use or what do I need to do differently?
b) where can I find the "Simulated Mean-Cov" dataset so that I can
play with it and otherwise see if I have misformatted my inputs? Is
there an example available that I can be pointed to which would show
how it is used (and which would presumably answer question (a)?

Thank you in advance for any advice, pointers, code, etc. And
patience - most of all!